Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Michele Leonardo Bianchi, Svetlozar T. Rachev, Frank J. Fabozzi
| Year of publication: |
March 2018
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|---|---|
| Authors: | Bianchi, Michele Leonardo ; Račev, Svetlozar T. ; Fabozzi, Frank J. |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 51.2018, 3, p. 339-378
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| Subject: | Volatility smile | Stochastic volatility models | GARCH model | Non-Gaussian Ornstein-Uhlenbeck processes | Lévy processes | Tempered stable processes and distributions | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | Modellierung | Scientific modelling | Italien | Italy | Kapitalmarktrendite | Capital market returns |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-016-9599-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011963681